Intermediate Structured Finance Modeling by Niedermaier Matthew Preinitz William & Matthew Niedermaier

Author:Niedermaier, Matthew, Preinitz, William & Matthew Niedermaier
Language: eng
Format: epub
ISBN: 9780470928783
Publisher: John Wiley & Sons, Inc.
Published: 2010-12-21T16:00:00+00:00

“CollatCF_LoadGeoRecoveryLagAssumptions” Subroutine

Of the four major inputs to both the Geographic and the Demographic Methodologies, only the prepayment assumptions and the recovery lag assumptions are used by both methodologies. For this reason we will now examine the VBA code that determines which set of recovery lag assumptions to apply.

This subroutine is virtually identical to the subroutine that we just examined, “CollatCF_LoadGeoRecoveryAssumptions”. The first portion of the subroutine will determine what value we will assign to the variable “mWIndex” based on the availability of recovery lag data particular to the geographic location of the loan and the availability of the data themselves. This process of defaulting from MSAs to state levels or state levels to the national level is identical to that described in the “CollatCF_LoadGeoPrepaymentAssumptions” subroutine above.

The recovery lag periods are not stressed so we can ignore the application of a stress factor to them. Upon reading the information from the “gGeoLagTable”, we can write it to the “gByLoanLags” array. We will use the information from that array to perform the cash flow calculations. See Exhibit 12.25.

EXHIBIT 12.25 “CollatCF_LoadGeoRecoveryLagAssumptions” subroutine

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